UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number: 811-22393
Blackstone / GSO Senior Floating Rate Term Fund
(exact name of Registrant as specified in charter)
345 Park Avenue, 31st Floor
New York, New York 10154
(Address of principal executive offices) (Zip code)
(Name and address of agent for service)
Marisa Beeney
345 Park Avenue, 31st Floor
New York, New York 10154
Registrant’s telephone number, including area code: (800) 831-5776
Date of fiscal year end: December 31
Date of reporting period: March 31, 2012
Item 1. Schedule of Investments.
Blackstone / GSO Senior Floating Rate Term Fund
Portfolio of Investments
March 31, 2012 (Unaudited)
| Moody’s Rating | Principal Amount |
Market Value | ||||||||||
| FLOATING RATE LOAN INTERESTS(a) - 135.82% |
|
|||||||||||
| Aerospace and Defense - 0.65% |
||||||||||||
| Sequa Corp., Senior Secured First Lien Additional Term Loan, 6.250%, 12/03/2014 |
B1 | $320,270 | $322,573 | |||||||||
| TASC, Inc., Senior Secured Tranche B First Lien Term Loan, 4.500%, 12/18/2015 |
Ba2 | 1,607,204 | 1,592,136 | |||||||||
|
|
|
|||||||||||
| 1,914,709 | ||||||||||||
|
|
|
|||||||||||
| Automotive - 3.26% |
||||||||||||
| CCC Information Services, Inc., Senior Secured First Lien Term Loan, 5.500%, 11/11/2015 |
B1 | 645,606 | 647,827 | |||||||||
| Chrysler Group LLC, Senior Secured Tranche B First Lien Term Loan, 6.000%, 05/24/2017 |
Ba2 | 4,837,395 | 4,922,606 | |||||||||
| FRAM Group Holdings, Inc. (aka Autoparts Holdings), Senior Secured First Lien Term Loan, 6.500%, 07/31/2017 |
B1 | 1,865,625 | 1,881,175 | |||||||||
| Remy International, Inc., Senior Secured First Lien Term B Facility Loan, 6.250%, 12/16/2016 |
B1 | 803,412 | 807,429 | |||||||||
| TI Group Automotive Systems LLC, Senior Secured First Lien Term Loan, 6.750%, 03/01/2018 |
Caa2 | 1,304,348 | 1,310,061 | |||||||||
|
|
|
|||||||||||
| 9,569,098 | ||||||||||||
|
|
|
|||||||||||
| Banking, Finance, Insurance and Real Estate - 5.85% |
|
|||||||||||
| Alliant Holdings I, Inc., Senior Secured Tranche C Incremental First Lien Term Loan, 8.000%, 08/21/2014 |
B2 | 3,016,435 | 3,021,683 | |||||||||
| Moody’s Rating | Principal Amount |
Market Value | ||||||||||
| Banking, Finance, Insurance and Real Estate (continued) |
|
|||||||||||
| Asurion LLC, Senior Secured First Lien Term Add On Loan, 5.500%, 05/24/2018 |
Ba3 | $1,000,000 | $992,615 | |||||||||
| Asurion LLC, Senior Secured First Lien Term B Loan, 5.500%, 05/24/2018 |
Ba3 | 3,310,984 | 3,286,532 | |||||||||
| BNY ConvergEx Group LLC, Senior Secured EZE Borrower Second Lien Term Loan, 8.750%, 12/18/2017 |
B2 | 443,368 | 441,151 | |||||||||
| EZE Castle Software, Inc., Senior Secured Second Lien Top Borrower Term Loan, 8.750%, 12/18/2017 |
B2 | 1,056,633 | 1,051,349 | |||||||||
| Fidelity National Information Services, Inc., Senior Secured First Lien Term B Loan, 4.250%, 07/18/2016 |
Ba1 | 580,377 | 584,141 | |||||||||
| HarbourVest Partners LP, Senior Secured First Lien Term Loan, 6.250%, 12/19/2016 |
Ba3 | 3,953,543 | 3,970,840 | |||||||||
| Interactive Data Corp., Senior Secured First Lien Term Loan, 4.500%, 02/09/2018 |
Ba3 | 3,832,217 | 3,836,720 | |||||||||
|
|
|
|||||||||||
| 17,185,031 | ||||||||||||
|
|
|
|||||||||||
| Beverage, Food and Tobacco - 8.46% |
|
|||||||||||
| Advance Pierre Foods, Inc., Senior Secured First Lien Term Loan, 7.000%, 09/30/2016 |
B1 | 2,377,727 | 2,382,483 | |||||||||
| Advance Pierre Foods, Inc., Senior Secured Second Lien Term Loan, 11.250%, 09/29/2017 |
B1 | 1,000,000 | 1,009,170 | |||||||||
| Burger King Corp., Senior Secured Tranche B First Lien Term Loan, 4.500%, 10/19/2016 |
Ba3 | 3,239,059 | 3,242,557 | |||||||||
| Del Monte Foods Co., Senior Secured Initial First Lien Term Loan, 4.500%, 03/08/2018 |
Ba3 | 3,754,970 | 3,707,770 | |||||||||
| Moody’s Rating | Principal Amount |
Market Value | ||||||||||
| Beverage, Food and Tobacco (continued) |
||||||||||||
| Denny’s, Inc. (fka Advantica Restaurants Group, Inc.), Senior Secured First Lien Term Loan, 5.250%, 09/30/2016 |
B1 | $2,135,238 | $2,138,174 | |||||||||
| Dunkin’ Brands, Inc., Senior Secured First Lien Term B-2 Loan, 4.000%, 11/23/2017 |
B2 | 995,322 | 996,158 | |||||||||
| Fairway Group Acquisition Co., Senior Secured First Lien Term Loan, 7.500%, 03/03/2017 |
B2 | 3,960,013 | 3,920,413 | |||||||||
| NPC International, Inc., Senior Secured First Lien Term Loan, 5.250%, 12/28/2018 |
Ba3 | 1,860,759 | 1,875,301 | |||||||||
| Roundy’s Supermarkets, Inc., Senior Secured Tranche B First Lien Term Loan, 5.750%, 02/13/2019 |
B1 | 839,161 | 846,243 | |||||||||
| Wm. Bolthouse Farms, Inc., Senior Secured First Lien Term Loan, 5.500%, 02/11/2016 |
B1 | 1,722,804 | 1,732,486 | |||||||||
| Wm. Bolthouse Farms, Inc., Senior Secured Second Lien Term Loan, 9.500%, 08/11/2016 |
Caa1 | 3,000,000 | 3,021,255 | |||||||||
|
|
|
|||||||||||
| 24,872,010 | ||||||||||||
|
|
|
|||||||||||
| Capital Equipment - 2.23% |
||||||||||||
| Baker Corp. International, Inc., Senior Secured First Lien Term Loan, 5.000%, 06/01/2018 |
Ba3 | 2,232,027 | 2,236,011 | |||||||||
| Sensus USA, Inc. (fka Sensus Metering Systems), Senior Secured First Lien Term Loan, 4.750%, 05/09/2017 |
Ba3 | 600,000 | 601,650 | |||||||||
| Sensus USA, Inc. (fka Sensus Metering Systems), Senior Secured Second Lien Term Loan, 8.500%, 05/09/2018 |
Caa1 | 3,714,286 | 3,714,286 | |||||||||
|
|
|
|||||||||||
| 6,551,947 | ||||||||||||
|
|
|
|||||||||||
| Moody’s Rating | Principal Amount |
Market Value | ||||||||||
| Chemicals, Plastics and Rubber - 5.83% |
||||||||||||
| Arizona Chemical U.S., Inc., Senior Secured First Lien Term Loan, 7.250%, 12/22/2017 |
Ba3 | $1,377,273 | $1,397,243 | |||||||||
| Norit Holdings BV, Senior Secured First Lien Term Loan, 6.750%, 07/10/2017 |
B1 | 1,148,077 | 1,152,382 | |||||||||
| Nusil Technology LLC, Senior Secured First Lien Term Loan, 5.250%, 04/07/2017 |
B1 | 3,435,034 | 3,440,770 | |||||||||
| Taminco Global Chemical Corp., Senior Secured First Lien Term Loan, 6.250%, 02/15/2019 |
B1 | 384,615 | 387,769 | |||||||||
| Trinseo Materials Operating S.C.A., Senior Secured First Lien Term Loan, 6.000%, 08/02/2017 |
B1 | 4,694,288 | 4,299,170 | |||||||||
| Univar, Inc., Senior Secured First Lien Term B Loan, 5.000%, 06/30/2017 |
B2 | 6,446,482 | 6,466,628 | |||||||||
|
|
|
|||||||||||
| 17,143,962 | ||||||||||||
|
|
|
|||||||||||
| Construction and Building - 1.62% |
||||||||||||
| Custom Building Products, Inc., Senior Secured First Lien Term B Loan, 5.750%, 03/19/2015 |
B1 | 3,770,909 | 3,788,821 | |||||||||
| Generac Power Systems, Inc., Senior Secured Tranche B First Lien Term Loan, 3.750%, 02/11/2019 |
Ba3 | 476,190 | 476,905 | |||||||||
| UCI International, Inc. (aka United Components, Inc.), Senior Secured Fist Lien Term B Loan, 5.500%, 07/26/2017 |
Ba2 | 505,450 | 508,609 | |||||||||
|
|
|
|||||||||||
| 4,774,335 | ||||||||||||
|
|
|
|||||||||||
| Consumer Goods Durable - 4.59% |
||||||||||||
| 1-800 Contacts, Inc., Senior Secured First Lien Term Loan, 7.700%, 03/04/2015 |
Ba2 | 4,357,177 | 4,389,857 | |||||||||
| Moody’s Rating | Principal Amount |
Market Value | ||||||||||
| Consumer Goods Durable (continued) |
||||||||||||
| Goodman Global, Inc., Senior Secured First Lien Term Loan, 5.750%, 10/28/2016 |
B1 | $2,320,707 | $2,338,994 | |||||||||
| Hupah Finance, Inc., Senior Secured First Lien Initial Term Loan, 6.250%, 01/21/2019 |
B2 | 4,824,561 | 4,863,785 | |||||||||
| Kinetic Concepts, Inc., Senior Secured First Lien Term B-1 Loan, 7.000%, 05/04/2018 |
Ba2 | 1,148,201 | 1,172,905 | |||||||||
| Kinetic Concepts, Inc., Senior Secured First Lien Term B-2 Loan, 6.500%, 11/04/2016 |
Ba2 | 718,200 | 723,766 | |||||||||
|
|
|
|||||||||||
| 13,489,307 | ||||||||||||
|
|
|
|||||||||||
| Consumer Goods Non Durable - 5.65% |
||||||||||||
| Acosta, Inc., Senior Secured First Lien Term B Loan, 4.750%, 03/01/2018 |
Ba3 | 1,541,163 | 1,541,810 | |||||||||
| Amscan Holdings, Inc., Senior Secured First Lien Term Loan, 6.750%, 12/04/2017 |
B2 | 3,848,903 | 3,864,395 | |||||||||
| Armored AutoGroup, Inc. (fka Viking Acquisition, Inc. (aka Global Autocare)), Senior Secured First Lien Term B Loan, 6.000%, 11/05/2016 |
Ba3 | 1,256,825 | 1,239,229 | |||||||||
| Inmar, Inc., Senior Secured First Lien Term Loan, 6.500%, 08/12/2018 |
B1 | 2,970,847 | 2,981,987 | |||||||||
| Revlon Consumer Products Corp., Senior Secured First Lien Term Loan, 4.750%, 11/20/2017 |
Ba3 | 2,940,188 | 2,943,201 | |||||||||
| Sagittarius Restaurants LLC (fka Captain D’s), Senior Secured First Lien Term Loan, 7.500%, 05/18/2015 |
B1 | 2,090,625 | 2,080,172 | |||||||||
| Totes Isotoner Corp., Senior Secured First Lien Delayed Draw Term Loan, 7.250%, 07/07/2017 |
B3 | 186,563 | 184,697 | |||||||||
| Moody’s Rating | Principal Amount |
Market Value | ||||||||||
| Consumer Goods Non Durable (continued) |
||||||||||||
| Totes Isotoner Corp., Senior Secured First Lien Initial Term Loan, 7.250%, 07/07/2017 |
B3 | $1,798,906 | $1,780,917 | |||||||||
|
|
|
|||||||||||
| 16,616,408 | ||||||||||||
|
|
|
|||||||||||
| Containers, Packaging and Glass - 3.19% |
||||||||||||
| John Henry Holdings, Inc. (aka Multi Packaging Solutions), Senior Secured First Lien Effective Date Term Advance Loan, 7.000%, 05/13/2016 |
B2 | 5,475,000 | 5,420,250 | |||||||||
| Reynolds Group Holdings, Inc., Senior Secured Tranche C First Lien Term Loan, 6.500%, 05/05/2016 |
Ba3 | 3,888,573 | 3,944,004 | |||||||||
|
|
|
|||||||||||
| 9,364,254 | ||||||||||||
|
|
|
|||||||||||
| Energy Electricity - 2.46% |
||||||||||||
| NXP BV, Senior Secured First Lien Tranche B Term Loan, 5.250%, 03/14/2019 |
B2 | 2,000,000 | 1,986,250 | |||||||||
| NXP BV, Senior Secured Tranche A-2 First Lien Term Loan, 5.500%, 03/03/2017 |
B2 | 1,883,393 | 1,882,809 | |||||||||
| Star West Generation LLC, Senior Secured First Lien Term B Advance Loan, 6.000%, 05/17/2018 |
Ba3 | 3,384,615 | 3,353,595 | |||||||||
|
|
|
|||||||||||
| 7,222,654 | ||||||||||||
|
|
|
|||||||||||
| Energy, Oil and Gas - 4.32% |
||||||||||||
| CITGO Petroleum Corp., Senior Secured First Lien Term B Loan, 8.000%, 06/24/2015 |
Ba2 | 507,234 | 514,315 | |||||||||
| CITGO Petroleum Corp., Senior Secured First Lien Term C Loan, 9.000%, 06/26/2017 |
Ba2 | 1,471,281 | 1,509,292 | |||||||||
| Crestwood Holdings LLC, Senior Secured First Lien Term Loan, 9.750%, 03/26/2018 |
Caa1 | 1,257,143 | 1,282,292 | |||||||||
| Moody’s Rating | Principal Amount |
Market Value | ||||||||||
| Energy, Oil and Gas (continued) |
||||||||||||
| Gibson Energy ULC, Senior Secured First Lien Term Loan, 5.750%, 06/15/2018 |
B1 | $4,480,035 | $4,505,705 | |||||||||
| Sheridan Production Partners LP, Senior Secured First Lien Term Loan [SIP I], 6.500%, 04/20/2017 |
B2 | 4,013,242 | 4,023,276 | |||||||||
| Sheridan Production Partners LP, Senior Secured First Lien Term Loan [SPP I-A], 6.500%, 04/20/2017 |
B2 | 531,788 | 533,117 | |||||||||
| Sheridan Production Partners LP, Senior Secured First Lien Term Loan [SPP I-M], 6.500%, 04/20/2017 |
B2 | 324,819 | 325,631 | |||||||||
|
|
|
|||||||||||
| 12,693,628 | ||||||||||||
|
|
|
|||||||||||
| Environmental Industries - 1.44% |
||||||||||||
| PSC Industrial Outsourcing LP, Senior Secured First Lien Term Loan, 7.250%, 07/29/2016 |
Ba3 | 4,221,494 | 4,221,494 | |||||||||
|
|
|
|||||||||||
| Healthcare and Pharmaceuticals - 21.15% |
||||||||||||
| Alkermes, Inc., Senior Secured First Lien Term Loan, 6.750%, 07/07/2017 |
B1 | 2,429,395 | 2,481,020 | |||||||||
| Alliance Healthcare Services, Inc., Senior Secured First Lien Term B Loan, 7.250%, 06/01/2016 |
Ba3 | 2,752,207 | 2,559,552 | |||||||||
| Ardent Medical Services, Inc., Senior Secured First Lien Term Loan, 6.500%, 09/15/2015 |
B1 | 3,962,288 | 3,955,690 | |||||||||
| Aurora Diagnostics Holdings LLC, Senior Secured Tranche B First Lien Term Loan, 6.250%, 05/26/2016 |
Ba2 | 2,543,056 | 2,525,572 | |||||||||
| Capsugel Holdings U.S., Inc., Senior Secured First Lien Initial Term Loan, 5.250%, 08/01/2018 |
B1 | 1,979,130 | 1,997,962 | |||||||||
| Moody’s Rating | Principal Amount |
Market Value | ||||||||||
| Healthcare and Pharmaceuticals (continued) |
||||||||||||
| Carestream Health, Inc. (aka Onex Carestream Finance LP), Senior Secured First Lien Term B Loan, 5.000%, 02/27/2017 |
B1 | $4,948,781 | $4,849,806 | |||||||||
| CHG Cos., Inc., Senior Secured Additional First Lien Term Loan, 5.500%, 10/07/2016 |
Ba2 | 1,732,519 | 1,730,787 | |||||||||
| Convatec, Inc. (aka Cidron Healthcare, Ltd.), Senior Secured First Lien Dollar Term Loan, 5.750%, 12/22/2016 |
Ba3 | 2,795,729 | 2,799,223 | |||||||||
| Drumm Investors LLC (aka Golden Living), Senior Secured First Lien Term Loan, 5.000%, 05/04/2018 |
B1 | 4,961,604 | 4,701,120 | |||||||||
| Emergency Medical Services Corp. (aka AMR/EMCare), Senior Secured First Lien Initial Term Loan, 5.250%, 05/25/2018 |
B1 | 3,960,000 | 3,969,207 | |||||||||
| Grifols, Inc., Senior Secured Tranche B First Lien Term Loan, 4.500%, 06/01/2017 |
Ba3 | 1,062,223 | 1,062,998 | |||||||||
| Health Management Associates, Inc., Senior Secured First Lien Term B Loan, 4.500%, 11/16/2018 |
B1 | 1,995,000 | 1,982,950 | |||||||||
| IASIS Healthcare LLC, Senior Secured First Lien Term B Loan, 5.000%, 05/03/2018 |
Ba3 | 2,809,620 | 2,814,888 | |||||||||
| Immucor, Inc., Senior Secured First Lien Term B Loan, 7.250%, 08/17/2018 |
Ba3 | 2,555,784 | 2,588,537 | |||||||||
| Lawson Software, Inc., Senior Secured First Lien Term B Loan, L + 5.000%, 10/01/2016(b) |
B2 | 1,690,141 | 1,639,436 | |||||||||
| MedAssets, Inc., Senior Secured First Lien Term Loan, 5.250%, 11/16/2016 |
Ba3 | 3,243,623 | 3,268,972 | |||||||||
| Moody’s Rating | Principal Amount |
Market Value | ||||||||||
| Healthcare and Pharmaceuticals (continued) |
||||||||||||
| National Specialty Hospitals, Inc., Senior Secured First Lien Delayed Draw Term Loan, 0.750%, 02/03/2017 |
B2 | $445,545 | $419,926 | |||||||||
| National Specialty Hospitals, Inc., Senior Secured First Lien Initial Term Loan, 8.250%, 02/03/2017 |
B2 | 2,529,007 | 2,383,589 | |||||||||
| Pharmaceutical Product Development, Inc., Senior Secured First Lien Term Loan, 6.250%, 12/05/2018 |
B1 | 2,081,739 | 2,110,207 | |||||||||
| Res-Care, Inc., Senior Secured First Lien Term B Loan, 7.750%, 12/22/2016 |
Ba2 | 1,975,000 | 1,975,000 | |||||||||
| Sheridan Holdings, Inc., Senior Secured Second Lien Term Loan, 5.991%, 06/15/2015 |
Caa1 | 867,708 | 849,542 | |||||||||
| Smile Brands Group, Inc., Senior Secured First Lien Term B Loan, 7.000%, 12/21/2017 |
Ba3 | 4,899,347 | 4,899,371 | |||||||||
| Surgery Center Holdings, Inc., Senior Secured First Lien Term Loan, 6.500%, 02/06/2017 |
Ba3 | 2,299,355 | 2,178,639 | |||||||||
| Surgical Care Affiliates LLC, Senior Secured First Lien Class B Term Loan, 4.470%, 12/29/2017 |
Ba3 | 2,493,702 | 2,402,270 | |||||||||
|
|
|
|||||||||||
| 62,146,264 | ||||||||||||
|
|
|
|||||||||||
| High Tech Industries - 14.27% |
||||||||||||
| Aspect Software, Inc., Senior Secured First Lien Term B Loan, 6.250%, 05/09/2016 |
Ba3 | 4,309,963 | 4,323,884 | |||||||||
| Attachmate Corp., Senior Secured First Lien Term Loan, 6.500%, 04/27/2017 |
B1 | 3,900,000 | 3,882,957 | |||||||||
| Aveta, Inc., Senior Secured First Lien Term B Loan, L + 6.500%, 01/01/2020(b) |
B1 | 872,727 | 872,509 | |||||||||
| Hyland Software, Inc., Senior Secured First Lien Term 2 Loan, 6.000%, 12/19/2016 |
B2 | 543,478 | 546,196 | |||||||||
| Moody’s Rating | Principal Amount |
Market Value | ||||||||||
| High Tech Industries (continued) |
||||||||||||
| Hyland Software, Inc., Senior Secured First Lien Term Loan, 6.000%, 12/19/2016 |
B2 | $2,485,096 | $2,481,468 | |||||||||
| Kronos, Inc. (aka Seahawk Acquisition Corp.), Senior Secured Tranche B-1 Second Lien Term Loan, 10.470%, 06/11/2018 |
B1 | 4,000,000 | 4,066,660 | |||||||||
| Open Link International, Inc., Senior Secured First Lien Initial Term Loan, 7.750%, 10/30/2017 |
B2 | 1,459,756 | 1,465,230 | |||||||||
| Presidio, Inc., Senior Secured First Lien Term B Loan, 7.250%, 03/31/2017 |
Ba3 | 3,988,878 | 4,048,711 | |||||||||
| Shield Finance Co. S.A.R.L. (aka Sophos plc), Senior Secured Incremental First Lien Term B-2 Loan, 7.627%, 06/15/2016 |
B2 | 1,240,625 | 1,249,930 | |||||||||
| Ship U.S. Bidco, Inc., (aka RBS WorldPay), Senior Secured First Lien Facility B2A Term Loan, 5.250%, 11/30/2017 |
Ba2 | 1,538,462 | 1,540,392 | |||||||||
| Sophia LP, Senior Secured First Lien New Term Loan, 6.250%, 07/19/2018 |
Ba3 | 3,200,000 | 3,253,344 | |||||||||
| Spansion LLC, Senior Secured First Lien Term Loan, 4.750%, 02/09/2015 |
Ba3 | 2,612,262 | 2,613,895 | |||||||||
| SRA International, Inc., Senior Secured First Lien Term Loan, 6.500%, 07/20/2018 |
B1 | 3,746,686 | 3,742,003 | |||||||||
| Vertafore, Inc., Senior Secured First Lien Term Loan, 5.250%, 07/29/2016 |
Caa1 | 3,950,018 | 3,935,205 | |||||||||
| Vertafore, Inc., Senior Secured Second Lien Term Loan, 9.750%, 10/27/2017 |
Caa1 | 2,000,000 | 2,015,000 | |||||||||
| Moody’s Rating | Principal Amount |
Market Value | ||||||||||
| High Tech Industries (continued) |
||||||||||||
| Wall Street Systems Holdings, Inc., Senior Secured First Lien Term Loan, 5.500%, 06/20/2017 |
Ba3 | $1,932,759 | $1,908,599 | |||||||||
|
|
|
|||||||||||
| 41,945,983 | ||||||||||||
|
|
|
|||||||||||
| Hotels, Gaming and Leisure - 3.61% |
||||||||||||
| AMC Entertainment, Inc., Senior Secured First Lien Term B3 Loan, 4.250%, 02/22/2018 |
Ba2 | 997,500 | 989,600 | |||||||||
| Boyd Gaming Corp., Senior Secured First Lien Increased Term Loan, 6.000%, 12/17/2015 |
B2 | 613,990 | 621,185 | |||||||||
| Kasima LLC (DCIP), Senior Secured First Lien Incremental Term Loan, 5.000%, 03/31/2017 |
Baa1 | 1,939,592 | 1,944,441 | |||||||||
| Mood Media Corp., Senior Secured First Lien Term Loan, 7.000%, 05/07/2018 |
Ba3 | 3,911,618 | 3,831,762 | |||||||||
| Pinnacle Entertainment, Inc., Senior Secured Series A Incremental First Lien Term Loan, 4.000%, 03/19/2019 |
B1 | 1,206,897 | 1,214,186 | |||||||||
| Six Flags Theme Parks, Inc., Senior Secured Tranche B First Lien Term Loan, 4.250%, 12/20/2018 |
B1 | 2,000,000 | 2,000,890 | |||||||||
|
|
|
|||||||||||
| 10,602,064 | ||||||||||||
|
|
|
|||||||||||
| Media Advertising, Printing and Publishing - 4.27% |
||||||||||||
| Cenveo Corp., Senior Secured First Lien Term B Facility Loan, 6.250%, 12/21/2016 |
Ba3 | 3,075,698 | 3,085,679 | |||||||||
| InfoGroup, Inc., Senior Secured First Lien Term B Loan, 5.750%, 05/28/2018 |
B1 | 1,691,298 | 1,594,048 | |||||||||
| Playboy Enterprises, Inc., Senior Secured First Lien Term B Loan, 8.250%, 03/06/2017 |
B2 | 3,670,370 | 3,633,666 | |||||||||
| Moody’s Rating | Principal Amount |
Market Value | ||||||||||
| Media Advertising, Printing and Publishing (continued) |
|
|||||||||||
| Postmedia Network, Inc. (aka CW Acquisition LP), Senior Secured Tranche C First Lien Term Loan, 6.250%, 07/13/2016 |
Ba3 | $2,370,665 | $2,366,220 | |||||||||
| RBS Holding Co. LLC, Senior Secured First Lien Term B Loan, 9.250%, 03/23/2017 |
B1 | 2,970,000 | 1,856,250 | |||||||||
|
|
|
|||||||||||
| 12,535,863 | ||||||||||||
|
|
|
|||||||||||
| Media Broadcasting and Subscription - 4.94% |
|
|||||||||||
| Barrington Broadcast Group LLC, Senior Secured Tranche 2 First Lien Term Loan, 7.500%, 06/14/2017 |
B2 | 1,199,324 | 1,210,574 | |||||||||
| Entercom Radio LLC, Senior Secured First Lien Term B Loan, 6.250%, 11/23/2018 |
B2 | 1,676,948 | 1,693,717 | |||||||||
| FoxCo Acquisition Sub LLC, Senior Secured First Lien Replacement Term Loan, 4.750%, 07/14/2015 |
B1 | 3,460,875 | 3,468,229 | |||||||||
| Hubbard Radio LLC, Senior Secured First Lien Term Loan, 5.250%, 04/28/2017 |
Ba3 | 994,987 | 999,963 | |||||||||
| Hubbard Radio LLC, Senior Secured Second Lien Term Loan, 8.750%, 04/30/2018 |
Caa1 | 1,428,571 | 1,451,786 | |||||||||
| Summit Entertainment LLC, Senior Secured First Lien Term Loan, 6.750%, 09/07/2016 |
B1 | 2,907,986 | 2,904,351 | |||||||||
| Univision Communications, Inc., Senior Secured Extended First Lien Term Loan, 4.491%, 03/31/2017 |
B2 | 3,000,000 | 2,787,075 | |||||||||
|
|
|
|||||||||||
| 14,515,695 | ||||||||||||
|
|
|
|||||||||||
| Retail - 12.64% |
|
|||||||||||
| Academy, Ltd., Senior Secured First Lien Initial Term Loan, 6.000%, 08/03/2018 |
B2 | 3,491,250 | 3,512,809 | |||||||||
| Moody’s Rating | Principal Amount |
Market Value | ||||||||||
| Retail (continued) |
||||||||||||
| Bass Pro Group LLC, Senior Secured First Lien Term Loan, 5.250%, 06/13/2017 |
B1 | $1,989,975 | $1,993,169 | |||||||||
| BJ’s Wholesale Club, Inc., Senior Secured Replacement First Lien Term Facility Loan, 5.250%, 09/28/2018 |
B1 | 995,000 | 1,001,955 | |||||||||
| Burlington Coat Factory Warehouse Corp., Senior Secured First Lien Term B Loan, 6.250%, 02/23/2017 |
B3 | 2,908,861 | 2,933,004 | |||||||||
| Chinos Acquisition Corp. (aka J. Crew Group, Inc.), Senior Secured First Lien Term Loan, 4.750%, 03/07/2018 |
B1 | 4,054,668 | 3,991,314 | |||||||||
| Harbor Freight Tools USA, Inc., Senior Secured Tranche B First Lien Term Loan, 6.500%, 12/22/2017 |
Ba3 | 4,909,770 | 4,957,322 | |||||||||
| Neiman Marcus Group, Inc., Senior Secured First Lien Extended Term Loan, 4.750%, 05/16/2018 |
B2 | 3,000,000 | 3,000,705 | |||||||||
| PETCO Animal Supplies, Inc., Senior Secured First Lien Term Loan, 4.500%, 11/24/2017 |
B2 | 3,091,276 | 3,093,796 | |||||||||
| Sports Authority, Inc. (aka TSA), Senior Secured First Lien Term B Loan, 7.500%, 11/16/2017 |
B3 | 4,937,500 | 4,755,454 | |||||||||
| Sprouts Farmers Market Holdings LLC, Senior Secured First Lien Initial Term Loan, 6.000%, 04/18/2018 |
B2 | 2,229,981 | 2,201,170 | |||||||||
| The Gymboree Corp., Senior Secured First Lien Term Loan, 5.000%, 02/23/2018 |
B1 | 1,944,767 | 1,847,295 | |||||||||
| Toys “R” Us, Inc., Senior Secured First Lien Initial Term Loan, 6.000%, 09/01/2016 |
B1 | 2,955,000 | 2,965,091 | |||||||||
| Moody’s Rating | Principal Amount |
Market Value | ||||||||||
| Retail (continued) |
||||||||||||
| Yankee Candle Co., Inc., Senior Secured First Lien Term B Loan, L + 4.000%, 04/02/2019(b) |
Ba2 | $892,857 | $896,857 | |||||||||
|
|
|
|||||||||||
| 37,149,941 | ||||||||||||
|
|
|
|||||||||||
| Services - Business - 10.55% |
|
|||||||||||
| Advantage Sales & Marketing, Inc., Senior Secured Second Lien Term Loan, 9.250%, 06/18/2018 |
Caa1 | 5,000,000 | 5,006,250 | |||||||||
| Altegrity, Inc. (aka U.S. Investigation Services, Inc.), Senior Secured Tranche D First Lien Term Loan, 7.750%, 12/31/2014 |
B1 | 1,634,154 | 1,638,746 | |||||||||
| BarBri, Inc., Senior Secured First Lien Term Loan, 6.000%, 06/19/2017 |
B1 | 3,486,875 | 3,469,441 | |||||||||
| Brickman Group Holdings, Inc., Senior Secured Tranche B First Lien Term Loan, 7.250%, 10/14/2016 |
B1 | 2,952,575 | 2,987,017 | |||||||||
| Eagle Parent, Inc., Senior Secured First Lien Term B Loan, 5.000%, 05/16/2018 |
Ba3 | 1,994,975 | 1,981,259 | |||||||||
| Scitor Corp., Senior Secured First Lien Term Loan, 5.000%, 02/15/2017 |
B2 | 1,985,053 | 1,932,955 | |||||||||
| Sedgwick Claims Management Services, Inc., Senior Secured First Lien Term B-1 Loan, 5.000%, 12/31/2016 |
B2 | 2,268,132 | 2,266,238 | |||||||||
| Sedgwick Holdings, Inc., Senior Secured Second Lien Term Loan, 9.000%, 05/28/2017 |
B2 | 5,000,000 | 4,993,750 | |||||||||
| Sitel LLC (aka Clientlogic Corp.), Senior Secured First Lien Extended U.S. Term Loan, 7.331%, 01/30/2017 |
B1 | 3,500,000 | 3,357,830 | |||||||||
| Moody’s Rating | Principal Amount |
Market Value | ||||||||||
| Services - Business (continued) |
||||||||||||
| U.S. Security Associates Holdings, Inc., Senior Secured First Lien Delayed Draw Term Loan, 6.000%, 07/28/2017 |
Ba3 | $203,750 | $204,769 | |||||||||
| U.S. Security Associates Holdings, Inc., Senior Secured First Lien Term B Loan, 6.000%, 07/26/2017 |
Ba3 | 1,207,269 | 1,210,287 | |||||||||
| Web.com Group, Inc., Senior Secured First Lien Term Loan, 7.000%, 10/27/2017 |
B1 | 1,961,667 | 1,946,140 | |||||||||
|
|
|
|||||||||||
| 30,994,682 | ||||||||||||
|
|
|
|||||||||||
| Services - Consumer - 0.49% |
||||||||||||
| Monitronics International, Inc., Senior Secured First Lien Term Loan, 5.500%, 03/23/2018 |
B2 | 1,451,613 | 1,454,937 | |||||||||
|
|
|
|||||||||||
| Telecommunications - 8.12% |
||||||||||||
| Alaska Communications Systems Holdings, Inc., Senior Secured First Lien Term Loan, 5.500%, 10/21/2016 |
Ba3 | 3,650,632 | 3,405,236 | |||||||||
| Avaya, Inc., Senior Secured B-3 Extended First Lien Term Loan, 4.991%, 10/26/2017 |
B1 | 4,968,634 | 4,809,638 | |||||||||
| Bragg Communications, Inc., Senior Secured First Lien Term B Loan, 4.000%, 02/28/2018 |
Ba3 | 1,258,212 | 1,258,212 | |||||||||
| Crown Castle Operating Co., Senior Secured Tranche B First Lien Term Loan, 4.000%, 01/31/2019 |
Ba2 | 997,500 | 995,420 | |||||||||
| Digitalglobe, Inc., Senior Secured First Lien Term Loan, 5.750%, 10/12/2018 |
Ba3 | 997,500 | 960,642 | |||||||||
| Fibertech Networks LLC (aka Firefox), Senior Secured First Lien Term Loan, 6.750%, 11/30/2016 |
B2 | 3,174,107 | 3,189,978 | |||||||||
| Moody’s Rating | Principal Amount |
Market Value | ||||||||||
| Telecommunications (continued) |
|
|||||||||||
| Greeneden U.S. Holdings II LLC, Senior Secured First Lien Term Loan, 6.750%, 01/31/2019 |
B2 | $1,034,483 | $1,043,964 | |||||||||
| Intelsat Jackson Holdings, Ltd., Senior Secured First Lien Tranche B Term Loan, 5.250%, 04/03/2018 |
B1 | 1,397,999 | 1,410,015 | |||||||||
| Sorenson Communications, Inc., Senior Secured First Lien Tranche C Term Loan, 6.000%, 08/16/2013 |
B1 | 3,196,176 | 3,149,719 | |||||||||
| Syniverse Holdings, Inc. (aka Buccaneer Merger Sub, Inc.), Senior Secured First Lien Term Loan, 5.250%, 12/21/2017 |
B1 | 1,431,159 | 1,439,060 | |||||||||
| TowerCo Finance LLC, Senior Secured First Lien Term B-1 Loan, 4.500%, 01/28/2017 |
Ba3 | 554,400 | 557,000 | |||||||||
| Verint Systems, Inc., Senior Secured First Lien Term Loan, 4.500%, 10/27/2017 |
B1 | 1,631,507 | 1,629,476 | |||||||||
|
|
|
|||||||||||
| 23,848,360 | ||||||||||||
|
|
|
|||||||||||
| Transportation Cargo - 1.50% |
|
|||||||||||
| Nexeo Solutions LLC (aka Ashland Distribution), Senior Secured First Lien Initial Term Loan, 5.000%, 09/08/2017 |
B1 | 3,300,000 | 3,240,881 | |||||||||
| Ozburn-Hessey Holding Co. LLC, Senior Secured First Lien Term Loan, 8.250%, 04/08/2016 |
Ba3 | 844,700 | 745,870 | |||||||||
| Rail America, Inc., Senior Secured First Lien Initial Term Loan, 4.000%, 03/01/2019 |
B1 | 420,168 | 420,607 | |||||||||
|
|
|
|||||||||||
| 4,407,358 | ||||||||||||
|
|
|
|||||||||||
| Moody’s Rating | Principal Amount |
Market Value | ||||||||||
| Transportation Consumer - 1.68% |
||||||||||||
| Avis Budget Car Rental LLC, Senior Secured Tranche C First Lien Term Loan, 4.250%, 03/15/2019 |
Ba1 | $2,940,630 | $2,938,425 | |||||||||
| Hertz Corp., Senior Secured Tranche B First Lien Term Loan, 3.750%, 03/12/2018 |
Ba1 | 1,994,962 | 1,991,062 | |||||||||
|
|
|
|||||||||||
| 4,929,487 | ||||||||||||
|
|
|
|||||||||||
| Utilities, Oil and Gas - 2.52% |
||||||||||||
| Energy Transfer Equity LP, Senior Secured First Lien Term Loan, 3.750%, 3/24/2017 |
Ba2 | 1,597,633 | 1,569,515 | |||||||||
| EquiPower Resources Holdings LLC, Senior Secured First Lien Term B Advance Loan, 5.750%, 01/26/2018 |
Ba3 | 2,749,697 | 2,584,715 | |||||||||
| Frac Tech International LLC, Senior Secured First Lien Term Loan, 6.250%, 05/06/2016 |
B2 | 3,243,976 | 3,237,001 | |||||||||
|
|
|
|||||||||||
| 7,391,231 | ||||||||||||
|
|
|
|||||||||||
| Wholesale - 0.53% |
||||||||||||
| CDW Corp., Senior Secured First Lien Extended Term Loan, 4.000%, 07/15/2017 |
B2 | 1,601,794 | 1,553,235 | |||||||||
|
|
|
|||||||||||
| TOTAL FLOATING RATE LOAN INTERESTS (Cost $397,148,973) |
399,093,937 | |||||||||||
|
|
|
|||||||||||
| CORPORATE BONDS - 6.47% |
||||||||||||
| Beverage, Food and Tobacco - 0.34% |
||||||||||||
| Del Monte Corp., Senior Unsecured Bond, 7.625%, 02/15/2019 |
B3 | 1,000,000 | 1,000,000 | |||||||||
|
|
|
|||||||||||
| Energy, Oil and Gas - 0.18% |
||||||||||||
| United Refining Co., Senior Secured Bond, 10.500%, 02/28/2018 |
B3 | 510,000 | 529,125 | |||||||||
|
|
|
|||||||||||
| Moody’s Rating | Principal Amount |
Market Value | ||||||||||
| Healthcare and Pharmaceuticals - 1.02% |
||||||||||||
| Aurora Diagnostics Holdings LLC, Senior Unsecured Bond, 10.750%, 01/15/2018 |
B3 | $3,000,000 | $2,985,000 | |||||||||
|
|
|
|||||||||||
| High Tech Industries - 1.17% |
||||||||||||
| Allen Systems Groups, Inc., Senior Secured Bond, 10.500%, 11/15/2016(c) |
B3 | 3,983,000 | 3,445,295 | |||||||||
|
|
|
|||||||||||
| Media Broadcasting and Subscription - 1.56% |
||||||||||||
| CCO Holdings LLC / CCO Holdings Capital Corp., Senior Unsecured Bond, 6.500%, 04/30/2021 |
B1 | 1,000,000 | 1,040,000 | |||||||||
| Entercom Radio LLC, Senior Unsecured Bond, 10.500%, 12/01/2019 |
Caa1 | 1,300,000 | 1,407,250 | |||||||||
| National CineMedia LLC, Senior Unsecured Bond, 7.875%, 07/15/2021 |
B2 | 2,000,000 | 2,140,000 | |||||||||
|
|
|
|||||||||||
| 4,587,250 | ||||||||||||
|
|
|
|||||||||||
| Retail - 0.49% |
||||||||||||
| Spencer Spirit Holdings, Inc., Senior Secured Bond, 11.000%, 05/01/2017(c) |
B2 | 1,400,000 | 1,435,000 | |||||||||
|
|
|
|||||||||||
| Telecommunications - 1.71% |
||||||||||||
| Cincinnati Bell, Inc. (aka Broadwing, Inc.), Senior Unsecured Bond, 8.375%, 10/15/2020 |
B1 | 5,000,000 | 5,037,500 | |||||||||
|
|
|
|||||||||||
| TOTAL CORPORATE BONDS (Cost $19,205,957) |
19,019,170 | |||||||||||
|
|
|
|||||||||||
| Market Value | ||||
| Total Investments - 142.29% (Cost $416,354,930) |
$418,113,107 | |||
| Assets in Excess of Other Liabilities - 6.75% |
19,851,918 | |||
|
|
|
|||
| Term Preferred Shares - (16.37)%* |
||||
| (plus distributions payable on term preferred shares) |
(48,116,868 | ) | ||
|
|
|
|||
| Senior Secured Notes - (32.67)% |
(96,000,000 | ) | ||
|
|
|
|||
| Net Assets - 100.00% |
$293,848,157 | |||
|
|
|
|||
Amounts above are shown as a percentage of net assets as of March 31, 2012.
| * | Series A Floating Rate Cumulative Term Preferred Shares, “Term Preferred Shares”. |
| (a) | The interest rate shown represents the rate at period end. |
| (b) | All or a portion of this position has not settled as of March 31, 2012. The interest rate shown represents the stated spread over the London Interbank Offered Rate (“LIBOR” or “L”) or the applicable LIBOR floor; the Fund will not accrue interest until the settlement date, at which point LIBOR will be established. |
| (c) | Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $4,880,295, which represents approximately 1.66% of net assets as of March 31, 2012. |
See Notes to Quarterly Portfolio of Investments.
Blackstone / GSO Senior Floating Rate Term Fund
Notes to Quarterly Portfolio of Investments
March 31, 2012 (Unaudited)
NOTE 1. ORGANIZATION
Blackstone / GSO Senior Floating Rate Term Fund (the “Fund” or “BSL”) is a non-diversified, closed-end management investment company. The Fund was organized in Delaware on March 4, 2010. The Fund was registered under the Investment Company Act of 1940, as amended (the “1940 Act”), on March 5, 2010. The Fund commenced operations on May 26, 2010. Prior to that, BSL had no operations other than matters relating to its organization and the sale and issuance of 5,236 common shares of beneficial interest in the Fund to GSO / Blackstone Debt Funds Management LLC (the “Adviser”) at a price of $19.10 per share. The Adviser serves as the BSL’s investment adviser. The Fund’s common shares are listed on the New York Stock Exchange (the “Exchange”) and trade under the ticker symbol “BSL.”
Absent shareholder approval to extend the term of the BSL, the Fund will dissolve on or about May 31, 2020. Upon dissolution, BSL will distribute substantially all of its net assets to shareholders, after making appropriate provision for any liabilities of the Fund. Pursuant to the Fund’s Amended and Restated Agreement and Declaration of Trust (the “Declaration of Trust”), prior to the date of dissolution a majority of the Board of Trustees, with the approval of a majority of the shareholders entitled to vote (as defined in the 1940 Act) may extend the life of the Fund. If approved, the dissolution date of the Fund may be extended by a period of two years or such shorter time as may be determined. However, the dissolution date of the Fund may be extended an unlimited number of times.
BSL’s primary investment objective is to seek high current income, with a secondary objective to seek preservation of capital, consistent with its primary goal of high current income. Under normal market conditions, at least 80% of the Fund’s assets will be invested in senior secured, floating rate loans (“Loans”).
BSL is classified as “non-diversified” under the 1940 Act. As a result, it can invest a greater portion of its assets in obligations of a single issuer than a “diversified” fund. BSL may therefore be more susceptible than a diversified fund to being adversely affected by any single corporate, economic, political, or regulatory occurrence.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The preparation of its financial statements is in accordance with accounting principles generally accepted in the United States of America (“GAAP”), which requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and these differences could be material.
Portfolio Valuation: BSL’s net asset value (“NAV”) will be determined daily on each day that the Exchange is open for business, as of the close of the regular trading session on the Exchange. The Fund calculates NAV per share by subtracting liabilities (including accrued expenses or dividends) from the total assets (the value of the securities plus cash or other assets, including interest accrued but not yet received) and dividing the result by the total number of outstanding common shares of the Fund.
Loans are primarily valued by using a composite loan price from a nationally recognized loan pricing service. The methodology used by the BSL’s nationally recognized loan pricing provider for composite loan prices is to value loans at the mean of the bid prices from one or more brokers or dealers. Corporate bonds, other than short-term investments, are valued at the price provided by a nationally recognized pricing service. The prices provided by the nationally recognized service are typically based on the mean of bid and ask prices for each corporate bond security. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrices, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures based on valuation technology commonly employed in the market for such investments. Short-term debt investments, if any, having a remaining maturity of 60 days or less when purchased would be valued at cost adjusted for amortization of premiums and accretion of discounts. Any investments and other assets for which such current market quotations are not readily available are valued at fair value (“Fair Valued Assets”) as determined in good faith by management under procedures established by, and under the general supervision and responsibility of, the Fund’s Board of Trustees.
Various inputs are used to determine the value of BSL’s investments. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own
assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
Level 1— Unadjusted quoted prices in active markets for identical investments at the measurement date.
Level 2— Significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3— Significant unobservable inputs (including the Fund’s own assumption in determining the fair value of investments).
The valuation techniques used by the Fund to measure fair value during the period ended March 31, 2012 maximized the use of observable inputs and minimized the use of unobservable inputs. The categorization of a value determined for investments and other financial instruments is based on the pricing transparency of the investment and other financial instrument and does not necessarily correspond to BSL’s perceived risk of investing in those securities.
The following is a summary of the inputs used as of March 31, 2012 in valuing the Fund’s investments carried at value:
|
Investments in Securities at Value^ |
Level 1 - Unadjusted Quoted Prices |
Level 2 - Significant Observable Inputs |
Level 3 - Significant Unobservable Inputs |
Total
|
||||||||||||
| Floating Rate Loan Interests |
$- | $376,601,335 | $22,492,602 | $399,093,937 | ||||||||||||
| Corporate Bonds |
- | 19,019,170 | - | 19,019,170 | ||||||||||||
| Total |
$- | $395,620,505 | $22,492,602 | $418,113,107 | ||||||||||||
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| Investments in Securities at Value^ |
Balance as of 12/31/11 |
Realized gain/ (loss) |
Change in unrealized appreciation/ (depreciation) |
Net purchases/ (sales) |
Transfer in and/or (out) of Level 3 |
Balance as of 3/31/12 |
Net change in unrealized appreciation/ (depreciation) attributable to Level 3 investments still held at 3/31/12 |
|||||||||||||||||||||
| Floating Rate Loan Interests | $15,324,615 | $65,198 | $(507,818) | $(2,592,685) | $10,203,292 | $22,492,602 | $(121,561) | |||||||||||||||||||||
| Total |
$15,324,615 | $65,198 | $(507,818) | $(2,592,685) | $10,203,292 | $22,492,602 | $(121,561) | |||||||||||||||||||||
There were no transfers between Level 1 and 2 during the period. It is the Fund’s policy to recognize transfers into and out of all levels at the end of the reporting period.
^For detailed descriptions of classifications, see the accompanying Portfolio of Investments.
Securities Transactions and Investment Income: Securities transactions are recorded on trade date for financial reporting purposes. Interest income, including accretion of discount and amortization of premium, is recorded on the accrual basis.
NOTE 3. SENIOR FLOATING RATE LOANS
BSL defines “Senior Loans” as first lien senior secured, floating rate loans that are made to U.S. and, to a limited extent, non-U.S. corporations, partnerships and other business entities (“Borrowers”), which operate in various industries and geographical regions. Under normal market conditions, at least 80% of BSL’s Managed Assets (defined below) will be invested in Senior Loans. BSL defines Managed Assets as total assets (Including any assets attributable to any leverage used) minus the sum of BSL’s accrued liabilities (other than liabilities Incurred for any leverage). At March 31, 2012, 84.89% of BSL’s Managed Assets were held in Senior Loans.
Loans hold a senior position in the capital structure of a business entity, are secured with specific collateral and have a claim on the assets and/or stock of the Borrower that is senior to that held by unsecured creditors, subordinated debt holders and stockholders of the Borrower.
Loans often require prepayments from Borrowers’ excess cash flows or permit the Borrowers to repay at their election. The degree to which Borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, floating rate loans typically have an expected average life of two to four years. Floating rate loans typically have rates of interest which are re-determined periodically, either daily, monthly, quarterly or semi-annually by reference to a floating base lending rate, primarily London Interbank Offered Rate (LIBOR), plus a premium or credit spread.
Loans are subject to the risk of payment defaults of scheduled interest or principal. Such non-payment could result in a reduction of income, a reduction in the value of the investment and a potential decrease in the net asset value of either Fund. Risk of loss of income is generally higher for subordinated unsecured loans or debt, which are not backed by a security interest in any specific collateral. There can be no assurance that the liquidation of any collateral securing a Loan would satisfy the Borrower’s obligation to the Fund in the event of non-payment of scheduled interest or principal payments, or that such collateral could be readily liquidated.
Second lien loans generally are subject to similar risks as those associated with investments in first lien loans except that such loans are subordinated in payment and/or lower in lien priority to first lien holders. In the event of default on a second lien loan, the first priority lien holder has first claim to the underlying collateral of the loan. Second lien loans are subject to the additional risk that the cash flow of the Borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior unsecured or senior secured obligations of the Borrower. At March 31, 2012, BSL had invested $27,620,199 in second lien secured loans. Second lien secured loans are not considered Senior Loans for BSL.
Loans can be rated below investment grade or may also be unrated. As a result, the risks associated with Loans may be similar to the risks of other below investment grade securities, although they are senior and secured in contrast to other below investment grade securities, which are often subordinated or unsecured. BSL typically invests in Loans rated below investment grade, which are considered speculative because of the credit risk of their issuers. Such companies are more likely than investment grade issuers to default on their payments of interest and principal owed to BSL, and such defaults could reduce net asset value and income distributions. The amount of public information available with respect to below investment grade loans will generally be less extensive than that available for registered or exchange-listed securities. In evaluating the creditworthiness of Borrowers, the Adviser will consider, and may rely in part, on analyses performed by others. The Adviser’s established best execution procedures and guidelines require trades to be placed for execution only with broker-dealer counterparties approved by the risk and valuation committee of the Adviser. The factors considered by the committee when selecting and approving brokers and dealers include, but are not limited to: (i) quality, accuracy, and timeliness of execution, (ii) review of the reputation, financial strength and stability of the financial institution, (iii) willingness and ability of the counterparty to commit capital, (iv) ongoing reliability and (v) access to underwritten offerings and secondary markets.
BSL may acquire Loans through assignments or participations. BSL typically acquires these Loans through assignment, and if it acquires a Loan through participation, will elevate a participation interest into an assignment as soon as practicably possible. The purchaser of an assignment typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation; however, the purchaser’s rights can be more restricted than those of the assigning institution, and BSL may not be able to unilaterally enforce all rights and remedies under the Loan and with regard to any associated collateral. A participation typically results in a contractual relationship only with the institution participating out the interest, not with the Borrower. Sellers of participations typically include banks, broker-dealers, other financial institutions and lending institutions. The Adviser has adopted best execution procedures and guidelines to mitigate credit and counterparty risk in the atypical situation when BSL must acquire a Loan through a participation. The Adviser has established a risk and valuation committee that regularly reviews each broker-dealer counterparty for, among other things, its quality and the quality of its execution.
NOTE 4. UNREALIZED APPRECIATION/ (DEPRECIATION)
On March 31, 2012, based on cost of $435,959,972 for federal income tax purposes, aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $5,972,706 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $4,214,528, resulting in net unrealized appreciation of $1,758,177.
Item 2. Controls and Procedures.
| (a) | The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this Report. |
| (b) | There was no change in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the Registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 3. Exhibits.
Separate certifications for the Registrant’s principal executive officer and principal financial officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached as Exhibit 99.CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Blackstone / GSO Senior Floating Rate Term Fund | ||||
| By: | /s/ Daniel H. Smith, Jr. |
|||
| Daniel H. Smith, Jr. (Principal Executive Officer) | ||||
| Chairman, Chief Executive Officer and President | ||||
| Date: | May 30, 2012 | |||
| By: | /s/ Eric Rosenberg |
|||
| Eric Rosenberg (Principal Financial Officer) | ||||
| Treasurer and Chief Financial Officer | ||||
| Date: | May 30, 2012 | |||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
| By: | /s/ Daniel H. Smith, Jr. |
|||
| Daniel H. Smith, Jr. (Principal Executive Officer) | ||||
| Chairman, Chief Executive Officer and President | ||||
| Date: | May 30, 2012 | |||
| By: | /s/ Eric Rosenberg |
|||
| Eric Rosenberg (Principal Financial Officer) | ||||
| Treasurer and Chief Financial Officer | ||||
| Date: | May 30, 2012 | |||